Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/62746
Authors: 
Härdle, Wolfgang
Kleinow, Torsten
Korostelev, Alexander P.
Logeay, Camille
Platen, Eckhard
Year of Publication: 
2001
Series/Report no.: 
Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2001,24
Abstract: 
The analysis of diffusion processes in financial models is crucially dependent on the form of the drift and diffusion coefficient functions. A methodology is proposed for estimating and testing coefficient functions for ergodic diffusions that are not directly observable. It is based on semiparametric and nonparametric estimates. The testing is performed via the wild bootstrap resampling technique. The method is illustrated on S&P 500 index data.
Subjects: 
Identification, Bootstrap, Diffusion, Continuous-time financial models, Semiparametric methods, Kernel smoothing
JEL: 
C51
C52
G22
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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